Iskalni niz:
išči po
išči po
išči po
išči po
Vrsta gradiva:
Jezik:
Št. zadetkov: 3
Gaussove mere na Hilbertovih prostorih
Jan Rems, Oliver Dragičević
Diplomsko delo
Oznake: matematika;Hilbertovi prostori;Gaussova mera;linearni operatorji;Gaussove slučajne spremenljivke;Fourierova transformiranka mere;funkcija belega šuma;Brownovo gibanje;
Na Hilbertovemu prostoru definiramo verjetnostno mero s pričakovano vrednostjo in kovariančnim operatorjem. Nato definiramo Gaussovo verjetnostno mero na prostoru realnih števil in jo za tem preko Fourierove transformiranke mere razširimo na Hilbertov prostor. S pomočjo produktne mere izračunamo nek ...
Leto: 2019 Vir: Fakulteta za matematiko in fiziko (UL FMF)
Use of relaxed stochastic controls in reinforcement learning
Jan Rems, Nacira Agram, Tomaž Košir
Magistrsko delo
Oznake: reinforcement learning;exploration;stochastic control theory;relaxed controls;dynamical programming;optimal investment strategy;
In this work, we investigate how relaxed stochastic controls are used for exploration in continuous time and space reinforcement learning. The environment $X^u$ is modeled by a stochastic differential equation controlled by control $u$, while the value function $V^u$ is an infinite horizon performan ...
Leto: 2021 Vir: Fakulteta za matematiko in fiziko (UL FMF)
Deep learning for quadratic hedging in incomplete jump market
Nacira Agram, Bernt Karsten Øksendal, Jan Rems
Izvirni znanstveni članek
Oznake: option pricing;incomplete market;equivalent martingale measure;Merton model;deep learning;LSTM;
We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump diffusion market. It is based on a rigorous stochastic calculus derivation of the optimal hedging portfolio, optimal option price, and the corresponding equivalent martingale measure t ...
Leto: 2024 Vir: Fakulteta za matematiko in fiziko (UL FMF)
Št. zadetkov: 3
Ključne besede:
Leto izdaje:
Avtorji:
Repozitorij:
Tipologija:
Jezik: